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A Simple Toy Momentum Strategy For Volatility Trading (Up To 04/10/2014)

A simple toy momentum strategy for volatility trading (up to 04/10/2014)

There have been various SA posts talking about momentum strategy using XIV, TLT, ZIV and so on. Following Fred Piard's idea of using weekly data here I have ditched the bond ETFs and added long volatility ETFs of VXX, VXZ and XVZ. Instead of 100% invested in the ETF, I try to maintain a CAPM beta of 2 for the short volatility (long stock market) side. With the theoretical historical data of XIV and ZIV since 12/20/2005 the long ETF choices would be 100% XIV, 200% ZIV and 200% SPY (or 100% SSO). On the long volatility side I am playing it more safely and I would only use 100% XVZ (a mild dynamic long vol product).

The strategy is straight forward. We pick up the best performance ETF in the past week at Friday close and hold that ETF for the next week. The portfolio growth is shown below:

(click to enlarge)Click to enlarge

And the annual returns are:

yearly.returns (*100%)

2005-12-30 0.02782989

2006-12-29 0.88023040

2007-12-28 0.10754270

2008-12-26 0.25491206

2009-12-31 0.92635935

2010-12-31 0.11592670

2011-12-30 0.59102562

2012-12-28 1.19134108

2013-12-27 0.44805142

2014-04-10 -0.13816872

There are two massive drawdowns around mid-2008 and around the flash crash in 2010. With some daily stoploss settings it is possible to reduce the big losses.

It is just a toy model to show how to incorporate long vol products into the momentum strategy and it might be better to adjust the leverage for each ETF candidate to account for its beta or volatility.

The detailed table is shown below if you are interested. The first 4 columns are the weekly returns for the ETFs; the fifth column indicates the holding for the next week and the last column is the growth of your portoflio.

 

XIV

2*ZIV

XVZ

2*SPX

Ind

port

12/20/2005

0

0

0

0

1

1

12/23/2005

0.042164

0.035641

7.00E-05

0.014354

1

1.042163931

12/30/2005

-0.01375

-0.01024

-0.00054

-0.03211

3

1.027829888

1/6/2006

0.058368

0.039762

0.003352

0.059537

4

1.031274737

1/13/2006

0.039013

0.01061

0.007877

0.003361

1

1.034740533

1/20/2006

-0.04476

-0.02653

0

-0.04057

3

0.988426116

1/27/2006

0.060852

0.091659

-0.02385

0.035244

2

0.964849321

2/3/2006

0.001477

-0.0064

0.002828

-0.03068

3

0.958673876

2/10/2006

0.028624

0.004525

0.003871

0.004683

1

0.962384709

2/17/2006

0.020062

0.034236

-0.00968

0.031966

2

0.981692005

2/24/2006

0.044908

0.062096

-0.01567

0.003403

2

1.042651459

3/3/2006

-0.00037

0.026869

-0.01073

-0.00341

2

1.070666202

3/10/2006

-0.00739

0.032759

-0.01441

-0.00878

2

1.105740264

3/17/2006

0.035567

0.048307

-0.01006

0.04006

2

1.159155317

3/24/2006

0.009755

0.024219

-0.00767

-0.00658

2

1.187228953

3/31/2006

0.018682

0.038727

-0.01161

-0.01246

2

1.233206681

4/7/2006

0.008663

0.012556

-0.00325

0.001035

2

1.248690865

4/13/2006

-0.02963

-0.0188

0.001543

-0.00985

3

1.225209753

4/21/2006

0.026851

0.013858

-0.0002

0.03438

4

1.224968744

4/28/2006

0.032686

0.010054

0.002383

-0.00102

1

1.223716946

5/5/2006

0.00236

-0.00521

0.004569

0.023119

4

1.226604854

5/12/2006

-0.06467

-0.03404

0.000336

-0.05208

3

1.162728437

5/19/2006

-0.11175

-0.0582

0.033346

-0.0375

3

1.20150035

5/26/2006

-0.01622

-0.05429

0.022346

0.020726

3

1.228349238

6/2/2006

-0.00957

-0.06498

0.035272

0.012592

3

1.271675874

6/9/2006

-0.14194

-0.10655

0.035827

-0.05577

3

1.317235712

6/16/2006

-0.02311

-0.06408

0.003285

-0.00121

3

1.321563328

6/23/2006

0.062327

0.121282

-0.0477

-0.01125

2

1.258529003

6/30/2006

0.090166

0.062993

-0.00724

0.041302

1

1.3378074

7/7/2006

-0.03145

-0.06754

0.020641

-0.00743

3

1.295737818

7/14/2006

-0.12092

-0.11182

0.008628

-0.04627

3

1.306916924

7/21/2006

0.016716

0.089042

-0.04972

0.006617

2

1.241931963

7/28/2006

0.124853

0.080233

-0.01246

0.061695

1

1.341575346

8/4/2006

-0.01981

-0.04512

0.014153

0.001267

3

1.314996351

8/11/2006

-0.0055

-0.032

0.011812

-0.01973

3

1.330528924

8/18/2006

0.124673

0.005757

0.022839

0.056144

1

1.360916385

8/25/2006

0.024888

0.013987

0.001842

-0.01107

1

1.39478691

9/1/2006

0.045158

0.062383

-0.01319

0.024585

2

1.457773357

9/8/2006

-0.0518

-0.01897

-0.00927

-0.01844

3

1.430112108

9/15/2006

0.055344

-0.0078

0.011988

0.032258

1

1.447256527

9/22/2006

0.003013

-0.02522

0.009867

-0.00771

3

1.451617601

9/29/2006

0.058322

-0.00993

0.020814

0.032051

1

1.481831952

10/6/2006

0.042037

0.025068

-0.00103

0.020556

1

1.544124294

10/13/2006

0.097876

0.101228

-0.00648

0.02377

2

1.695256499

10/20/2006

0.039799

0.094849

-0.02307

0.004364

2

1.856049282

10/27/2006

0.084881

0.031315

0.010665

0.012772

1

1.914171044

11/3/2006

-0.01766

0.052636

-0.02414

-0.01894

2

1.880360798

11/10/2006

0.0383

0.068027

-0.01907

0.024335

2

2.008276456

11/17/2006

0.030393

0.049803

-0.01365

0.029401

2

2.108295432

11/24/2006

-0.01054

-0.0589

0.017213

-0.00036

3

1.984107008

12/1/2006

-0.00141

-0.02484

0.004598

-0.00605

3

1.993229905

12/8/2006

-0.01442

0.048801

-0.02145

0.018801

2

1.950471458

12/15/2006

0.033091

-0.04428

0.022502

0.024471

1

1.864110427

12/22/2006

0.004571

-0.0061

0.003627

-0.02289

1

1.872630576

12/29/2006

0.032001

-0.01164

0.013786

0.010689

1

1.932556999

1/5/2007

-0.0187

0.003611

-0.00685

-0.01211

2

1.896425536

1/12/2007

0.11626

0.088493

0.003212

0.029822

1

2.064245936

1/19/2007

0.029988

0.050238

-0.00847

-0.00032

2

2.126147962

1/26/2007

-0.01289

0.039872

-0.01734

-0.01163

2

2.210921158

2/2/2007

0.05126

0.022198

0.00121

0.036859

1

2.259998406

2/9/2007

0.000753

-0.01099

0.003125

-0.01426

3

2.261700956

2/16/2007

0.056298

0.037025

-0.00427

0.024311

1

2.252047011

2/23/2007

-0.00379

0.021424

-0.00843

-0.00598

2

2.243508105

3/2/2007

-0.25796

-0.09602

-0.02541

-0.08823

3

2.028078612

3/9/2007

0.070953

0.081121

-0.04956

0.022607

2

1.927564468

3/16/2007

-0.14516

-0.08376

0.009914

-0.02267

3

1.766116914

3/23/2007

0.177403

0.086247

-0.0159

0.070889

1

1.73803666

3/30/2007

-0.0746

-0.02452

-0.00527

-0.02124

3

1.608375245

4/5/2007

0.047801

-0.00444

0.011107

0.032234

1

1.626240129

4/13/2007

0.042698

0.003157

0.007191

0.012592

1

1.695677883

4/20/2007

0.039706

0.033957

-0.00568

0.043363

4

1.763006335

4/27/2007

-0.00096

0.001949

-0.00219

0.013097

4

1.786095798

5/4/2007

-0.00918

-0.04966

0.015939

0.015461

3

1.813710844

5/11/2007

-0.01417

-0.00354

-0.00129

0.000306

4

1.811376831

5/18/2007

-0.00894

-0.04308

0.015653

0.022446

4

1.852034624

5/25/2007

-0.00288

-0.00272

0.000419

-0.00922

3

1.834958567

6/1/2007

0.033037

0.000341

0.006252

0.027195

1

1.84643161

6/8/2007

-0.08535

-0.07578

0.013403

-0.03732

3

1.688834801

6/15/2007

0.054641

0.067495

-0.025

0.033482

2

1.646611192

6/22/2007

-0.08729

-0.10264

0.022559

-0.0396

3

1.477609037

6/29/2007

-0.02987

-0.05647

0.015641

0.001052

3

1.500719717

7/6/2007

0.041979

0.039454

-0.00739

0.03604

1

1.489629155

7/13/2007

-0.04638

-0.09671

0.030491

0.028828

3

1.420537557

7/20/2007

-0.07014

-0.12748

0.038474

-0.0237

3

1.475190729

7/27/2007

-0.11847

-0.17702

0.06363

-0.09797

3

1.569057739

8/3/2007

-0.12592

-0.20759

0.10303

-0.03549

3

1.730718413

8/10/2007

-0.12265

-0.1449

0.058058

0.028722

3

1.831200163

8/17/2007

-0.11252

0.023013

0.012027

-0.01059

2

1.853224575

8/24/2007

0.1837

0.200732

-0.11147

0.04624

2

2.225226484

8/31/2007

-0.07266

-0.09181

0.0605

-0.00727

3

2.020936925

9/7/2007

-0.0772

-0.02548

0.014523

-0.02773

3

2.050287557

9/14/2007

0.017546

0.02947

-0.01749

0.042241

4

2.014431726

9/21/2007

0.17729

0.170837

-0.0712

0.05592

1

2.127079752

9/28/2007

0.036704

0.019905

-0.00077

0.001311

1

2.205151238

10/5/2007

0.033378

0.016673

-0.00036

0.0404

4

2.27875381

10/12/2007

-0.01484

-0.05326

0.009496

0.005406

3

2.291072268

10/19/2007

-0.14639

-0.18852

0.047872

-0.07833

3

2.400750594

10/26/2007

0.07526

0.045137

-0.00326

0.046181

1

2.39291345

11/2/2007

-0.11635

-0.17153

0.047516

-0.03339

3

2.114486015

11/9/2007

-0.1491

-0.18358

0.08658

-0.07412

3

2.297557789

11/16/2007

-0.00875

-0.02761

0.01141

0.006934

3

2.323773695

11/23/2007

0.022031

-0.03313

0.026604

-0.02473

3

2.385594705

11/30/2007

0.055406

0.134851

-0.05742

0.056139

2

2.248624947

12/7/2007

0.068779

0.071046

-0.01547

0.031759

2

2.408379756

12/14/2007

-0.05472

-0.08189

0.021698

-0.0488

3

2.211169012

12/21/2007

0.060782

0.067543

-0.01561

0.022494

2

2.176654143

12/28/2007

0.004214

-0.01666

0.00732

-0.00804

3

2.140389389

1/4/2008

-0.07069

-0.10811

0.029868

-0.09044

3

2.204319175

1/11/2008

-0.03428

-0.07738

0.022387

-0.01503

3

2.253667601

1/18/2008

-0.04532

-0.0558

0.01131

-0.10825

3

2.279155618

1/25/2008

0.016763

0.047845

-0.01996

0.00818

2

2.233666471

2/1/2008

0.059754

0.144937

-0.0667

0.097414

2

2.557407093

2/8/2008

-0.11697

-0.20385

0.098954

-0.09191

3

2.036089551

2/15/2008

0.066847

0.071103

-0.03307

0.028093

2

1.968758745

2/22/2008

0.042307

0.02873

-0.01076

0.004622

1

2.025320218

2/29/2008

-0.05266

-0.07343

0.005988

-0.03323

3

1.918665705

3/7/2008

-0.02896

-0.01373

-0.00619

-0.056

3

1.906792792

3/14/2008

-0.06709

-0.08735

0.02702

-0.00809

3

1.958315102

3/20/2008

0.044904

0.073384

-0.03827

0.064232

2

1.88336825

3/28/2008

0.006601

-0.01986

0.002466

-0.0215

1

1.84597087

4/4/2008

0.083367

0.108027

-0.02613

0.08391

2

1.999863123

4/11/2008

-0.00146

-0.04739

0.018339

-0.05483

3

1.905080371

4/18/2008

0.119452

0.134796

-0.02954

0.086283

2

1.848810419

4/25/2008

0.067669

0.064879

-0.01286

0.010803

1

1.968758794

5/2/2008

0.04365

0.086786

-0.02607

0.022978

2

2.054694463

5/9/2008

-0.02948

-0.09114

0.031423

-0.03624

3

1.867436528

5/16/2008

0.077055

0.054444

-0.00312

0.053404

1

1.861609445

5/23/2008

-0.10099

-0.18861

0.03757

-0.06934

3

1.673606297

5/30/2008

0.129621

0.10183

0.002225

0.03554

1

1.677330697

6/6/2008

-0.138

-0.1297

0.012611

-0.0567

3

1.445867064

6/13/2008

0.038759

0.046197

-0.009

-0.00096

2

1.432850286

6/20/2008

-0.02086

0.01136

-0.00879

-0.06191

2

1.449127051

6/27/2008

-0.04675

-0.02878

0.000629

-0.06002

3

1.407422799

7/3/2008

-0.02904

-0.00699

0.006308

-0.02422

3

1.41630059

7/11/2008

-0.03631

-0.04907

0.02028

-0.03707

3

1.445023504

7/18/2008

0.044516

0.117298

-0.05982

0.034191

2

1.358578367

7/25/2008

0.019086

-0.03585

-0.00097

-0.00463

1

1.309875842

8/1/2008

0.015106

0.021306

-0.01465

0.004055

2

1.32966341

8/8/2008

0.06593

0.034713

-0.0056

0.057145

1

1.375819903

8/15/2008

0.001258

-0.01324

0.005661

0.002901

3

1.377550536

8/22/2008

0.010311

-0.04209

0.019187

-0.00924

3

1.403981013

8/29/2008

-0.01039

-0.02237

0.001979

-0.0145

3

1.406759572

9/5/2008

-0.05659

-0.05543

0.011001

-0.06317

3

1.422235237

9/12/2008

-0.03743

-0.02486

0.003019

0.015117

4

1.426528339

9/19/2008

-0.03202

-0.002

-0.01357

0.005401

4

1.434232527

9/26/2008

-0.13833

-0.09585

0.091203

-0.06704

3

1.338082222

10/3/2008

-0.20516

-0.18396

0.143666

-0.1876

3

1.530318476

10/10/2008

-0.29238

-0.17691

0.229358

-0.36391

3

1.881309408

10/17/2008

-0.19005

-0.2212

0.153337

0.091924

3

2.169782871

10/24/2008

-0.16803

-0.27817

0.158873

-0.13562

3

2.514502208

10/31/2008

-0.00607

0.016788

-0.01072

0.209816

4

2.487550233

11/7/2008

-0.04819

-0.12643

0.029429

-0.07796

3

2.293630446

11/14/2008

-0.13452

-0.11776

0.078527

-0.12395

3

2.473741925

11/21/2008

-0.16454

-0.25204

0.144799

-0.16778

3

2.831938362

11/28/2008

0.158342

0.206709

-0.11096

0.240516

4

2.517703205

12/5/2008

-0.11788

-0.23092

0.120419

-0.04501

3

2.404380716

12/12/2008

0.04727

-0.01828

0.011526

0.008355

1

2.432093384

12/19/2008

0.13967

0.221826

-0.06091

0.018528

2

2.771784033

12/26/2008

0.042024

-0.03095

0.020396

-0.03397

1

2.686000452

1/2/2009

0.145121

0.247014

-0.06421

0.135197

2

3.075796322

1/9/2009

-0.12126

-0.08088

0.007114

-0.08897

3

2.827031564

1/16/2009

-0.1076

-0.1626

0.046303

-0.09037

3

2.957930442

1/23/2009

-0.055

-0.03215

0.000343

-0.04275

3

2.958944557

1/30/2009

0.108599

0.109078

-0.02245

-0.01459

2

2.892520007

2/6/2009

0.051713

0.045533

-0.02289

0.103453

4

3.024223962

2/13/2009

-0.05184

-0.03719

0.004751

-0.09615

3

2.733430518

2/20/2009

-0.09985

-0.12103

0.042909

-0.13737

3

2.850718868

2/27/2009

0.033785

-0.02007

0.007968

-0.0908

1

2.873433161

3/6/2009

-0.04147

0.029939

-0.02255

-0.14069

2

2.754279299

3/13/2009

0.067498

0.120387

-0.06208

0.214141

4

3.08585895

3/20/2009

-0.12432

-0.18906

0.100097

0.031697

3

3.183669931

3/27/2009

0.081666

0.031584

-0.01591

0.123351

4

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19.3677086

10/12/2012

-0.04842

0.030286

-0.02993

-0.04427

2

19.95427384

10/19/2012

0.017695

0.011914

0.00546

0.00644

1

20.19200803

10/26/2012

-0.04669

0.012795

-0.01373

-0.02965

2

19.24928857

11/2/2012

0.00793

0.004638

-0.00062

0.003201

1

19.33857188

11/9/2012

-0.05867

-0.05537

0.01044

-0.04858

3

18.20403927

11/16/2012

0.072533

0.051395

-0.01445

-0.02895

1

17.94103961

11/23/2012

0.121123

0.137813

-0.02453

0.072462

2

20.11411949

11/30/2012

0.034359

0.044287

-0.00612

0.009978

2

21.00491253

12/7/2012

-0.02295

0.021147

-0.01983

0.002669

2

21.44910584

12/14/2012

-0.01168

-0.01347

0.002963

-0.00633

3

21.16027393

12/21/2012

-0.06145

-0.00779

-0.01027

0.023444

4

20.94289458

12/28/2012

-0.19716

-0.10467

0.000544

-0.03877

3

20.13103983

1/4/2013

0.32802

0.253485

-0.05572

0.091327

1

19.00935738

1/11/2013

0.054419

0.053634

-0.00264

0.00761

1

20.04383411

1/18/2013

0.083986

0.133579

-0.0208

0.018926

2

21.72723628

1/25/2013

0.045161

0.116592

-0.02629

0.022854

2

24.26045956

2/1/2013

-0.02654

-0.0351

0.010311

0.013587

4

23.40894956

2/8/2013

0.020714

0.044988

-0.00612

0.006291

2

23.55622527

2/15/2013

0.040347

0.025932

0.002804

0.002451

1

24.16708537

2/22/2013

-0.0347

0.00751

-0.01717

-0.00551

2

23.32859237

3/1/2013

-0.12437

-0.04403

-0.01501

0.003431

4

22.30151953

3/8/2013

0.140631

0.089005

-0.00816

0.043446

1

23.27043551

3/15/2013

0.037366

-0.01137

0.015417

0.012275

1

24.13996708

3/22/2013

-0.01867

-0.03731

0.011583

-0.00488

3

23.68918114

3/28/2013

0.037285

0.036154

-0.00529

0.015801

1

23.56383983

4/5/2013

-0.00589

-0.00634

0.001309

-0.02028

3

23.4249486

4/12/2013

0.101478

0.126728

-0.02064

0.0458

2

22.94144882

4/19/2013

-0.18207

-0.15171

0.021139

-0.04229

3

19.46097479

4/26/2013

0.072894

0.135023

-0.04717

0.034708

2

18.54291158

5/3/2013

0.027902

0.023854

-0.00396

0.040677

4

18.98522509

5/10/2013

0.015497

-0.00467

0.002205

0.023885

4

19.43868223

5/17/2013

0.006694

-0.01899

0.008712

0.041342

4

20.24231117

5/24/2013

-0.02633

-0.05667

0.012075

-0.02143

3

19.80844418

5/31/2013

-0.03638

-0.03693

0.008922

-0.02287

3

19.98516671

6/7/2013

0.007701

-0.01037

0.00598

0.015502

4

20.10467488

6/14/2013

-0.09514

-0.10023

0.021188

-0.02026

3

19.69729151

6/21/2013

-0.05122

-0.04563

0.009013

-0.04217

3

19.87482752

6/28/2013

0.038122

-0.01531

0.024741

0.017395

1

20.3665542

7/5/2013

0.098697

0.065854

-0.00703

0.031887

1

22.37666769

7/12/2013

0.077497

0.138052

-0.03677

0.059195

2

24.11078744

7/19/2013

0.083253

0.032623

0.006411

0.014165

1

24.89734401

7/26/2013

0.032038

0.06772

-0.01379

-0.00052

2

25.69501448

8/2/2013

0.088054

0.119414

-0.0196

0.021305

2

28.76335147

8/9/2013

-0.0363

-0.03143

-3.57E-06

-0.02135

3

27.85931684

8/16/2013

-0.03175

-0.07147

0.01595

-0.04208

3

28.30368357

8/23/2013

0.019366

0.076623

-0.02618

0.009264

2

27.56267445

8/30/2013

-0.13384

-0.16217

0.025466

-0.03671

3

23.09293395

9/6/2013

0.047794

0.046551

-0.00918

0.02719

1

22.88104756

9/13/2013

0.106806

0.121407

-0.02676

0.039658

2

25.32487116

9/20/2013

0.049477

0.020737

-0.00346

0.025972

1

25.85002707

9/27/2013

-0.02773

-0.00298

-0.0051

-0.02124

2

25.13313956

10/4/2013

-0.06519

-0.03721

0.001977

-0.00148

3

24.19793776

10/11/2013

0.016159

0.034104

-0.05612

0.015025

2

22.83996145

10/18/2013

0.119162

0.096287

-0.02485

0.048497

1

25.03914724

10/25/2013

-0.01247

-0.03208

0.007564

0.017506

4

24.72684668

11/1/2013

-0.00154

-0.03238

0.01173

0.002125

3

24.77939809

11/8/2013

0.050641

0.040809

-0.00381

0.010184

1

24.68508688

11/15/2013

0.038634

-0.03302

0.022656

0.031142

1

25.63876369

11/22/2013

0.051969

0.100467

-0.01901

0.007319

2

26.97119533

11/29/2013

-0.01913

0.011779

-0.00987

0.001164

2

27.2888969

12/6/2013

-0.00037

0.048921

-0.02043

-0.0008

2

28.62389744

12/13/2013

-0.05049

-0.03669

0.004229

-0.03298

3

27.57379107

12/20/2013

0.06492

0.069354

-0.0148

0.048442

2

27.16583601

12/27/2013

0.053662

0.073068

-0.02021

0.025386

2

29.15078077

1/3/2014

-0.02269

-0.01258

-0.00084

-0.01089

3

28.78399776

1/10/2014

0.046475

0.065698

-0.01785

0.012013

2

28.27030436

1/17/2014

-0.00197

-0.044

0.019249

-0.00398

3

27.02639112

1/24/2014

-0.13149

-0.0594

-0.019

-0.05266

3

26.51293462

1/31/2014

-0.08346

-0.01701

0.012563

-0.0086

3

26.84600575

2/7/2014

0.080644

0.0331

-0.03796

0.01619

1

25.82697475

2/14/2014

0.079324

0.076037

-0.0147

0.04631

1

27.87566954

2/21/2014

-0.0353

0.008705

-0.01958

-0.00259

2

26.89178071

2/28/2014

-0.00967

-0.04816

0.01836

0.025269

4

25.59677891

3/7/2014

-0.02507

-0.00177

-0.00552

0.019995

4

26.10859059

3/14/2014

-0.08086

-0.05318

-5.79E-05

-0.03931

3

25.08234187

3/21/2014

0.06563

0.073903

-0.01378

0.027581

2

24.7367054

3/28/2014

0.020813

-0.00121

0.004627

-0.00954

1

24.7067965

4/4/2014

0.039422

0.062515

-0.01686

0.008043

2

25.68079168

4/10/2014

-0.04354

-0.02172

5.03E-05

-0.03433

3

25.12305475

Click to enlarge

Disclosure: I am long ZIV.

Additional disclosure: My long position in ZIV is not related to the simple strategy mentioned in the post.

Stocks: XIV, ZIV, XVZ, SPY, SSO